About classical solutions of the path-dependent heat equation

DOI10.1515/rose-2020-2028zbMath1457.60106arXiv1804.03845OpenAlexW3005218905MaRDI QIDQ1986115

Cristina Di Girolami, Francesco Russo

Publication date: 7 April 2020

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.03845

zbMATH Keywords

infinite-dimensional analysispath-dependent heat equationKolmogorov type equationswindow Brownian motion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs with randomness, stochastic partial differential equations (35R60) Classical solutions to PDEs (35A09)

Related Items (3)

Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

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